我用EVIEWS算ARCH的方差,结果ARCH发现没有对均值方程中μ的估值,这是怎么回事啊~~
Presample variance: backcast (parameter = 0.7)
GARCH = C(1) + C(2)*RESID(-1)^2
Variable Coefficient Std. Error z-Statistic Prob.
Variance Equation
C 0.000242 3.12E-05 7.743829 0.0000
RESID(-1)^2 0.288436 0.095681 3.014569 0.0026
GED PARAMETER 1.083409 0.084614 12.80416 0.0000
R-squared -0.002787 Mean dependent var 0.000994
Adjusted R-squared -0.006727 S.D. dependent var 0.018844
S.E. of regression 0.018907 Akaike info criterion -5.341010
Sum squared resid 0.181958 Schwarz criterion -5.316176
Log likelihood 1370.298 Hannan-Quinn criter. -5.331275
Durbin-Watson stat 2.036979